I always thought the title of the song was strange, but it basically means that we're too good and decent for this world, we're "MISFITS" (kinda like Jesus),...we don't "fit in" with all this evil and corruption (the reason for depression/sadness). "LoneLY" (the FEELING) seems to be constructed out of our unwillingness to accept the fact of our "incompatibility" with a world full of corruption.